Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates
✍ Scribed by Geneviève Gauthier; Jean-Guy Simonato
- Book ID
- 113584006
- Publisher
- Elsevier Science
- Year
- 2012
- Tongue
- English
- Weight
- 421 KB
- Volume
- 219
- Category
- Article
- ISSN
- 0377-2217
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
t in pharmacokinetics the Wagner-Nelson method is oftcn ,.:':,,~ti for cstiwating the absorption rate of a drug in different situations. The program described here a~plic, ibis method to a cnc-o,mpartment model for pla,,,ma drug concentrations an,; comes with several graphs, statistical tests and el
## Abstract We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately describe the joint dynamics for US macroeconomic variables and the yield cu